Drift estimation with non-Gaussian noise using Malliavin calculus

DOI10.1214/15-EJS1101zbMath1335.60124OpenAlexW2232003246MaRDI QIDQ902228

Christian Krein

Publication date: 7 January 2016

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1452004957

zbMATH Keywords

Malliavin calculusRosenblatt processStein estimatordrift estimationCramer-Rao bound

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Non-Markovian processes: estimation (62M09) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

Estimation of the drift of Riemann-Liouville fractional Brownian motion

Cites Work

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• Normal Approximations with Malliavin Calculus
• The Malliavin Calculus and Related Topics
• Analysis of the Rosenblatt process
• Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem

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